Managerial decisions and long-term stock price performance

Managerial decisions and long-term stock price performance (2000)

by Mark L. Mitchell , Erik Stafford

Venue:	Journal of Business
Citations:	124 - 4 self

Datum	Value	Source
TITLE	Managerial decisions and long-term stock price performance	INFERENCE
AUTHOR NAME	Mark L. Mitchell	SVM HeaderParse 0.2
AUTHOR ADDR	* Harvard Business School, Soldiers Field, Boston, MA 02163. Mitchell (617-495-1014, mmitchell@hbs.edu) and	SVM HeaderParse 0.2
AUTHOR NAME	Erik Stafford	SVM HeaderParse 0.2
AUTHOR ADDR	* Harvard Business School, Soldiers Field, Boston, MA 02163. Mitchell (617-495-1014, mmitchell@hbs.edu) and	SVM HeaderParse 0.2
ABSTRACT	A rapidly growing literature claims to reject the efficient market hypothesis by producing large estimates of long-term abnormal returns following major corporate events. The preferred methodology in this literature is to calculate average multi-year buy-and-hold abnormal returns and conduct inferences via a bootstrapping procedure. We show that this methodology is severely flawed because it assumes independence of multi-year abnormal returns for event firms, producing test statistics that are up to four times too large. After accounting for the positive cross-correlations of event firm abnormal returns we find virtually no evidence of reliable abnormal performance for our samples.	SVM HeaderParse 0.2
YEAR	2000	INFERENCE
VENUE	Journal of Business	INFERENCE
VENUE TYPE	JOURNAL	INFERENCE
PAGES	287--329	INFERENCE
VOLUME	73	INFERENCE
CITATIONS	34 found	ParsCit 1.0